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stat.ME2025
Gaussian Process State-Space Modeling and Particle Filtering for Time Series Decomposition and Nonlinear Signal Extraction
Genshiro Kitagawa
Gaussian-process state-space models (GP-SSMs) provide a flexible nonparametric alternative for modeling time-series dynamics that are nonlinear or difficult to specify parametrical…
stat.ME2024
A Triginometric Seasonal Component Model and its Application to Time Series with Two Types of Seasonality
G. Kitagawa
A finite trigonometric series model for seasonal time series is considered in this paper. This component model is shown to be useful, in particular, for the modeling of time series…
stat.ME2023
Extended Relative Power Contribution that Allows to Evaluate the Effect of Correlated Noise
Genshiro Kitagawa, Yoko Tanokura, Seisho Sato
We proposed an extension of Akaike's relative power contribution that could be applied to data with correlations between noises. This method decomposes the power spectrum into a co…